If you want something more full-featured, Scriptum is very full-featured and comes with support for other languages such as Verilog, C/C++, and Xilinx UCF. Its download page is here. (You have to fill out a form, but it's free and doesn't require a license.)

You're opening pandora's box here! Most editors will support syntax coloring for a wide range of languages, including VHDL. So your question could be re-interpreted as a question for just a nice editor.

Specifically for VHDL however, Emacs, VI, Notepad++ and UltraEdit are very popular as editors. See this poll and this poll. There's not Notepad++ for Linux, though (afaik).